Risk Sensitive Control of Diffusions with Small Running Cost

2010 ◽  
Vol 64 (1) ◽  
pp. 1-12 ◽  
Author(s):  
Anup Biswas
Keyword(s):  
Risk Sensitive ◽  
Risk Sensitive Control ◽  
Running Cost

scholarly journals On the policy improvement algorithm for ergodic risk-sensitive control

2020 ◽  
pp. 1-26
Author(s):  
Ari Arapostathis ◽  
Anup Biswas ◽  
Somnath Pradhan
Keyword(s):  
Control Problem ◽  
General Result ◽  
Region Of Attraction ◽  
Policy Improvement ◽  
Improvement Algorithm ◽  
Risk Sensitive ◽  
Risk Sensitive Control ◽  
Whole Space ◽  
Controlled Diffusions ◽  
Running Cost

In this article we consider the ergodic risk-sensitive control problem for a large class of multidimensional controlled diffusions on the whole space. We study the minimization and maximization problems under either a blanket stability hypothesis, or a near-monotone assumption on the running cost. We establish the convergence of the policy improvement algorithm for these models. We also present a more general result concerning the region of attraction of the equilibrium of the algorithm.

scholarly journals Erratum to: Risk-Sensitive Control with Near Monotone Cost

2010 ◽  
Vol 62 (3) ◽  
pp. 435-438 ◽  
Author(s):  
Anup Biswas ◽  
V. S. Borkar ◽  
K. Suresh Kumar
Keyword(s):  
Risk Sensitive ◽  
Risk Sensitive Control
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